Philippus Henricus Benedictus Franciscus "Philip Hans" Franses (born 1963) is a Dutch economist and Professor of Applied Econometrics and Marketing Research at the Erasmus University Rotterdam, and dean of the Erasmus School of Economics, especially known for his 1998 work on "Nonlinear Time Series Models in Empirical Finance." [1] [2]
Born in Wageningen, Franses studied econometrics at the University of Groningen, graduated in 1987, and received his PhD in 1991 at Erasmus School of Economics of the Erasmus University Rotterdam with the thesis, entitled "Model selection and seasonality in time series" under supervision of Teun Kloek. [3]
After graduation he started his academic career with a post-doc position as a Research Affiliate of the Royal Netherlands Academy of Arts and Sciences. In 1996 he became as Associate Professor at the Econometric Institute, and Director of Research at the Rotterdam Institute for Business Economic Studies. [4] In 1998 he was appointed Endowed Professor of Applied Econometrics, and in 1999 he was appointed Professor of Marketing research at the Erasmus School of Economics of the Erasmus University Rotterdam. [5] PhD students have been Albert Veenstra & Dick van Dijk (graduated in 1999); [3] L.J.O. Lint, C.S. Bos & P.C. Verhoef (2001); J.-J.J. Jonker & J.E.M. van Nierop (2002); S.H.K. Wuyts (2003); J. Kippers (2004); S.D. Tsolakis & R.D. van Oest (2005); E.A. de Groot (2006); B.L.K. Vroomen; S. Knapp (2007); M.C. Non (2008); M. van Diepen, R. Segers & A. van Dijk (2009). [6]
Franses is also Adjunct Professor at the University of Western Australia since 2001, at the Chiang Mai University since 2006, and at the Anton de Kom University of Suriname since 2008. From 2004 to 2006 he was Director of the Econometric Institute as successor of Herman K. van Dijk, and was succeeded by Albert Wagelmans. Since 2006 Franses is Dean of the Erasmus School of Economics.
In 2011 Franses is elected member of the Royal Netherlands Academy of Arts and Sciences. [7] In 2012 he received an honorary doctorate from Chiang Mai University in Thailand.
Franses' research interests are in the field of the "development of new models that enable more accurate forecasts with a specific focus on seasonal time series and marketing metrics. His interests also include economic growth and business cycles as well as the Euro." [8]
In the Preface of "Time series models for business and economic forecasting" (1998) Franses started explaining, that "the econometric analysis of economic and business time series is a major field of research and application. The last few decades have witnessed an increasing interest in both theoretical and empirical developments in constructing time series models and in their important application in forecasting."
In this work these developments are being researched. The Cambridge catalogue summarized, that "the early parts of the book focus on the typical features of time series data in business and economics. Part III is concerned with the discussion of some important concepts in time series analysis, the discussion focuses on the techniques which can be readily applied in practice. Parts IV-VIII suggest different modeling methods and model structures. Part IX extends the concepts in chapter three to multivariate time series. Part X examines common aspects across time series." [9]
Franses' most familiar work is Nonlinear Time Series Models in Empirical Finance, published in 1998, and co-authored by his former PhD student Dick van Dijk. In its introduction, the books aim and content is summarized:
"This book deals with the empirical analysis of financial time series with an explicit focus on, first, describing the data in order to obtain insights into their dynamic patterns and, second, out-of-sample forecasting. We restrict attention to modelling and forecasting the conditional mean and the conditional variance of such series – or, in other words, the return and risk of financial assets. As documented in detail below, financial time series display typical nonlinear characteristics. Important examples of those features are the occasional presence of (sequences of) aberrant observations and the plausible existence of regimes within which returns and volatility display different dynamic behaviour. We therefore choose to consider only nonlinear models in substantial detail, in contrast to Mills (1999), where linear models are also considered. Financial theory does not provide many motivations for nonlinear models, but we believe that the data themselves are quite informative..." [10]
In "Econometric methods with applications in business and economics" (2004) Christiaan Heij et al. stated, that "nowadays applied work in business and economics requires a solid understanding of econometric methods to support decision-making." [11]
This textbook takes a learning by doing approach, and "covers basic econometric methods (statistics, simple and multiple regression, nonlinear regression, maximum likelihood, and generalized method of moments), and addresses the creative process of model building with due attention to diagnostic testing and model improvement. Its last part is devoted to two major application areas: the econometrics of choice data (logit and probit, multinomial and ordered choice, truncated and censored data, and duration data) and the econometrics of time series data (univariate time series, trends, volatility, vector autoregressions, and a brief discussion of SUR models, panel data, and simultaneous equations)." [11]
Franses has authored and co-authored over 300 scientific articles and papers, [12] and some books. Books:
Articles, a selection:
Sir Clive William John Granger was a British econometrician known for his contributions to nonlinear time series analysis. He taught in Britain, at the University of Nottingham and in the United States, at the University of California, San Diego. Granger was awarded the Nobel Memorial Prize in Economic Sciences in 2003 in recognition of the contributions that he and his co-winner, Robert F. Engle, had made to the analysis of time series data. This work fundamentally changed the way in which economists analyse financial and macroeconomic data.
Robert Fry Engle III is an American economist and statistician. He won the 2003 Nobel Memorial Prize in Economic Sciences, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)".
Erasmus University Rotterdam is a public research university located in Rotterdam, Netherlands. The university is named after Desiderius Erasmus Roterodamus, a 15th-century Christian humanist and theologian.
Financial econometrics is the application of statistical methods to financial market data. Financial econometrics is a branch of financial economics, in the field of economics. Areas of study include capital markets, financial institutions, corporate finance and corporate governance. Topics often revolve around asset valuation of individual stocks, bonds, derivatives, currencies and other financial instruments.
Henri (Hans) Theil was a Dutch econometrician and professor at the Netherlands School of Economics in Rotterdam, known for his contributions to the field of econometrics.
The Tinbergen Institute is a joint institute for research and education in economics, econometrics and finance of the VU University Amsterdam, the University of Amsterdam, and the Erasmus University Rotterdam. The institute was founded in 1987 and is named after the Dutch economist Jan Tinbergen, a Nobel prize-winning professor at the Erasmus University Rotterdam.
Yongcheol Shin is a South Korean-born British economist at the University of York. He has previously held positions at leading academic institutions such as University of Cambridge, University of Edinburgh and University of Leeds. His notable contributions to econometrics include asymmetric autoregressive distributed lag model, unit root tests in ESTAR framework, and the long-run structural VAR modelling approach.
Stefan Stremersch holds the Desiderius Erasmus Distinguished Chair of Economics and a Chair of Marketing, both at Erasmus University Rotterdam, the Netherlands. Previously he held positions at IESE Business School, Barcelona, Spain, Fuqua School of Business, Duke University, USA, Goizueta Business School, Emory University, USA, USC Marshall School of Business, USA, and Ghent University, Belgium. His main research interests focus on innovation diffusion, marketing of technology and science, marketing strategy, new product growth, business economics of the life sciences and commercialization of new technologies. He is the scientific director of the Erasmus Healthcare Business Center and ECMI. Stremersch is also founder and director at The Marketing Technology and Innovation Institute (MTI²), a consulting company focused on helping companies innovate.
Econometric Institute at the Erasmus University Rotterdam is a leading research institute in the fields of econometrics and management science in the Netherlands. The Institute offers advanced education in econometrics. It was founded in 1956 by Henri Theil in cooperation with Jan Tinbergen.
Teunis (Teun) Kloek is a Dutch economist and Emeritus Professor of Econometrics at the Erasmus Universiteit Rotterdam. His research interests centered on econometric methods and their applications, especially nonparametric and robust methods in econometrics.
Herman Koene van Dijk is a Dutch economist Consultant at the Research Department of Norges Bank and Professor Emeritus at the Econometric Institute of the Erasmus University Rotterdam, known for his contributions in the field of Bayesian analysis.
Harm Bart is a Dutch mathematician, economist, and Professor of Mathematics at the Erasmus University Rotterdam, particularly known for his work on "factorization problems for matrix and operator functions."
Antonius Cornelis Franciscus (Ton) Vorst is a Dutch financial engineer and mathematician, Professor at the department of Finance of the Vrije Universiteit in Amsterdam, and Director of the VU Amsterdam School of Finance and Risk Management.
Wim Driehuis is a Dutch economist, Emeritus Professor Economics and Business at the University of Amsterdam.
Guido Wilhelmus Imbens is a Dutch-American economist whose research concerns econometrics and statistics. He holds the Applied Econometrics Professorship in Economics at the Stanford Graduate School of Business at Stanford University, where he has taught since 2012.
Albert Peter Marie (Albert) Wagelmans is a Dutch economist and Professor of Management Science at the Erasmus School of Economics (ESE) of the Erasmus University Rotterdam working in the fields of mathematical optimization methods for production, public transport and health care planning.
Christiaan Heij is a Dutch mathematician, Assistant Professor in statistics and econometrics at the Econometric Institute at the Erasmus University Rotterdam, known for his work in the field of mathematical systems theory, and econometrics.
Marno Verbeek is a professor of finance at Rotterdam School of Management, Erasmus University in Rotterdam. His main areas of research are empirical finance, particular analysing mutual funds, hedge funds, asset pricing, investment strategies, survival bias and performance evaluation. He has extensive publications in Finance, Economics and Econometrics and he is the author of the noted textbook A Guide to Modern Econometrics. He serves as an editor of De Economist the Netherlands Economic Review.
Denise Rae Osborn is an Australian and British economist who currently works as the Secretary-General at the Royal Economic Society and as an Emeritus Professor of Econometrics at the University of Manchester. Her principal research interests have been in applied Time-Series modelling, particularly in seasonality in economic variables and dynamic modelling of macroeconomic relationships. Osborn has over 70 research publications in referred academic journals including Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Applied Econometrics, Journal of the Royal Statistical Society, and Journal of the American Statistical Association.
Richard T. Baillie is a British–American economist and statistician who is currently the A J Pasant Professor of Economics at the Michigan State University. He is also part time professor at King's College, London, and Senior Scientific Officer for the Rimini Center for Economic Analysis in Italy, and also on the Executive Council of the Society for Nonlinear Dynamics in Econometrics (SNDE).
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